112 citations
- University of OxfordGB7 papers
- University of MiamiUS6 papers
- Czech Technical University in PragueCZ3 papers
- Harvard University PressUS2 papers
- Hong Kong University of Science and TechnologyHK2 papers
- Peking UniversityCN2 papers
- Université Fédérale de Toulouse Midi-PyrénéesFR2 papers
- University College LondonGB2 papers
- Athena Research and Innovation Center In Information Communication & Knowledge TechnologiesGR1 paper
- Bank of CanadaCA1 paper
- Centre for Mental HealthGB1 paper
- Centre for Quantum TechnologiesSG1 paper
Showing physics.soc-phShow all
3 papers · 1 filter
physics.soc-ph2008★ 65 cited
Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007--2008 credit crisis
Daniel J. Fenn, Mason A. Porter, Mark McDonald +3
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network co…
physics.soc-ph2006★ 32 cited
Impact of Unexpected Events, Shocking News and Rumours on Foreign Exchange Market Dynamics
Mark McDonald, Omer Suleman, Stacy Williams +2
We analyze the dynamical response of the world's financial community to various types of unexpected events, including the 9/11 terrorist attacks as they unfolded on a minute-by-min…
physics.soc-ph2005★ 8 cited
What shakes the FX tree? Understanding currency dominance, dependence and dynamics
Neil F. Johnson, Mark McDonald, Omer Suleman +2
There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dolla…